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Exchange Rate Regime Transitions
Masson, Paul R. - International Monetary Fund (IMF) - 2000
The “hollowing-out,” or “two poles” hypothesis is tested in the context of a Markov chain model of exchange rate transitions. In particular, two versions of the hypothesis—that hard pegs are an absorbing state, or that fixes and floats form a closed set, with no transitions to...
Persistent link: https://www.econbiz.de/10005825618
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Modeling Stochastic Volatility with Application to Stock Returns
Krichene, Noureddine - International Monetary Fund (IMF) - 2003
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...
Persistent link: https://www.econbiz.de/10005826355
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Advancing Learning and Evolutionary Game Theory with an Application to Social Dilemmas
Izquierdo, Luis R. - Volkswirtschaftliche Fakultät, … - 2008
This thesis advances game theory by formally analysing the implications of replacing some of its most stringent … thesis makes two distinct contributions in the field of learning game theory and one in the field of evolutionary game theory … theory presented here abandon the orthodox assumption that players are fully rational, and assume instead that players follow …
Persistent link: https://www.econbiz.de/10005790121
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Universal first-passage properties of discrete-time random walks and Lévy flights on a line: Statistics of the global maximum and records
Majumdar, Satya N. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 20, pp. 4299-4316
In these lecture notes I will discuss the universal first-passage properties of a simple correlated discrete-time sequence {x0=0,x1,x2,…,xn} up to n steps where xi represents the position at step i of a random walker hopping on a continuous line by drawing independently, at each time step, a...
Persistent link: https://www.econbiz.de/10011062733
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Effect of IMF Structural Adjustment Programson Expectations; The Case of Transition Economies
Imam, Patrick A. - International Monetary Fund (IMF) - 2007
We analyze the effect of IMF programs on economic agents' expectations about the economy in transitional countries using survey data from the Central and Eastern Eurobarometer poll, an annual general public survey monitoring the evolution of public opinion from 1990 to 1997. Previous studies, in...
Persistent link: https://www.econbiz.de/10005768769
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Subordinated Levy Processes and Applications to Crude Oil Options
Krichene, Noureddine - International Monetary Fund (IMF) - 2005
One approach to oil markets is to treat oil as an asset, besides its role as a commodity. Speculative and nonspeculative activity by investors in the derivatives markets could be responsible for a sizable increase in oil prices. This paper recognizes both the consumption and investment aspects...
Persistent link: https://www.econbiz.de/10005605320
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A Bayesian Approach to Model Uncertainty
Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2004
This paper develops the theoretical background for the Limited Information Bayesian Model Averaging (LIBMA). The proposed approach accounts for model uncertainty by averaging over all possible combinations of predictors when making inferences about the variables of interest, and it...
Persistent link: https://www.econbiz.de/10005264140
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On the Estimation of Term Structure Models and An Application to the United States
International Monetary Fund (IMF); International … - 2010
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...
Persistent link: https://www.econbiz.de/10008727797
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Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates
Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003
This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences...
Persistent link: https://www.econbiz.de/10005769039
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Bankruptcy and Firm Dynamics; The Case of the Missing Firms
Rodríguez-Delgado, Jose Daniel - International Monetary Fund (IMF) - 2010
Financial frictions have been documented as an important determinant of firm dynamics. In this paper I model bankruptcy procedures, liquidation in particular, as an institutional feature that affects both sides of financial transactions. I construct a model of firm dynamics that generate...
Persistent link: https://www.econbiz.de/10008519503